Project 3 - Corporate Sponsored

Multi-Factor Investing

Dynamic | Flexible | Optimized

hamilton

Multi-Factor Model

Our Multi-Factor model was tested using the Dow 30 Index as a sample universe. Once the model is fully developed, it can be applied to any stock indices or universes.

Objective Function

The goal of the optimization is to find the portfolio weights that minimize the sum of deviations from our target returns and the changes from our base weights.

Constraints

Our model includes constraints to ensure total portfolio weights add up to 1, limit the changes in weights, align portfolio returns with target market returns, manage portfolio risk, and maintain a minimum sectoral allocation.

Variables

The variables we're optimizing in this model are the weights assigned to each ticker in our portfolio.

Ticker Factor Betas

Check out our factor betas for each ticker

AXPAMGNAAPLBACATCRMCSCOCVXDISDDGSHDHONIBMINTCJNJJPMKOMCDMMMMRKMSFTNKEPGTRVUNHVZVWBAWMTDJIA−6−4−20246
FactorMkt-RFSMBHMLBetas Box-Plot by Ticker by FactorTickerBeta

Our Team Members

This Multi-Factor Investing Project is done by:

Member

Ethan Ippolito

Member

Maggie Zhou

Class of 2025, majoring in finance and accounting, minor in applied math.

Member

Asim Turk

Member

Amel Christy